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Record Nr. |
UNINA9910826274803321 |
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Titolo |
Fourier transform methods in finance / / Umberto Cherubini ... [et al.] |
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Pubbl/distr/stampa |
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Chichester ; ; [Hoboken, NJ], : John Wiley & Sons, c2010 |
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ISBN |
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9786612483134 |
9780470684924 |
0470684925 |
9781119207825 |
1119207827 |
9781282483132 |
1282483137 |
9780470688229 |
047068822X |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (258 p.) |
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Collana |
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The Wiley Finance Series ; ; v.524 |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Options (Finance) - Mathematical models |
Securities - Prices - Mathematical models |
Finance - Mathematical models |
Fourier analysis |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Fourier Transform Methods in Finance; Contents; Preface; List of Symbols; 1 Fourier Pricing Methods; 2 The Dynamics of Asset Prices; 3 Non-stationary Market Dynamics; 4 Arbitrage-Free Pricing; 5 Generalized Functions; 6 The Fourier Transform; 7 Fourier Transforms at Work; Appendices; A Elements of Probability; B Elements of Complex Analysis; C Complex Integration; D Vector Spaces and Function Spaces; E The Fast Fourier Transform; F The Fractional Fast Fourier Transform; G Affine Models: The Path Integral Approach; Bibliography; Index |
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Sommario/riassunto |
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In recent years, Fourier transform methods have emerged as one of the major methodologies for the evaluation of derivative contracts, largely due to the need to strike a balance between the extension of existing pricing models beyond the traditional Black-Scholes setting and a need |
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